Portfolio Construction and Risk Budgeting
Author:   Bernd Scherer
Publisher:   Risk Books
Edition:   3rd Revised edition
ISBN:  

9781904339694


Pages:   300
Publication Date:   01 February 2007
Format:   Hardback
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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Portfolio Construction and Risk Budgeting


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Author:   Bernd Scherer
Publisher:   Risk Books
Imprint:   Risk Books
Edition:   3rd Revised edition
ISBN:  

9781904339694


ISBN 10:   1904339697
Pages:   300
Publication Date:   01 February 2007
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

About the Author Introduction 1 Traditional Portfolio Construction: Selected Issues 2 Incorporating Deviations from Normality: Lower Partial Moments 3 Portfolio Resampling and Estimation Error 4 Bayesian Analysis and Portfolio Choice 5 Scenario Optimisation 6 Portfolio Construction with Transaction Costs 7 Benchmark-Relative Optimisation 8 Core-Satellite Investing: Budgeting Active Manager Risk Index

Reviews

This book makes an important contribution to asset management and I recommend it very strongly Dr Steven E. Satchell, Editor - The Journal of Asset Management


Author Information

Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank's Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base. Before joining Deutsche Bank, Dr Scherer globally headed fixed-income portfolio research at Schroder Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management. He publishes widely in relevant asset management industry journals and investment handbooks and is a regular speaker at investment conferences. Dr Scherer's current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.

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